Report
Please read the mathematical report (PS, 70 KB) and its accompanying figures:
- Probability density function, CR process (PS, 7 KB)
- Optimal strategy function, Vanilla (CALL) (PS, 7 KB)
- Probability density function, 2-dimension LN type process (PS, 284 KB)
- Joint probability cumulative/density function, Asian rate (PS, 333 KB)
- Optimal strategy function, Asian rate (CALL) (PS, 7 KB)